1. Heat 2 tablespoons oil in a 15-inch paella pan or heavy-bottomed roasting pan over medium heat; span 2 burners, if necessary. Add chorizo, and cook 6 minutes or until lightly browned on both sides. Add onion and garlic; cook, stirring occasionally, 8 minutes or until onions are softened. Transfer chorizo mixture to a plate.
2. Sprinkle chicken with salt and pepper. Heat 1 tablespoon oil in same pan over medium heat; add chicken, skin-side down, and brown on all sides, about 10 minutes. Transfer chicken to a plate. Add rice to pan; cook, stirring constantly, 5 minutes or until lightly browned. Add broth, chorizo mixture, and saffron, stirring well. Arrange chicken, skin-side up, in pan. Bring broth to a boil; reduce heat, and simmer 15 minutes.
3. Bring wine to a boil in a saucepan. Add clams, and cook 3 to 5 minutes or until shells just open. Remove clams with a slotted spoon; discard any that do not open. Repeat with mussels, reserving cooking liquid.
4. Nestle lobster, clams, and mussels into rice around chicken; drizzle reserved cooking liquid over shellfish. Bake at 375° on lowest rack in the oven 5 minutes or until lobster is heated through and all liquid is absorbed.